File Save Dialog is in fact, a quite complex thing, its basically an Explorer, so it will load all your shell extensions, including those badly written, and I suppose it will try to enumerate system namespaces, and go to your last saved location, if your last saved location is something unreliable, like an offline network drive, I suppose some unexpected behavior can happen.
+1 on this response by Felix.
I used to have exactly the same behavior but with IE when my work computer was on Windows 7 - every time I tried to download a file it would completely lock up on the 'save as' dialog box. Turned out to be some network folder it was attempting to access but couldn't, yet didn't time out for some reason.
My guess is you are experiencing something similar...